Boxcar-Opt-IVRank60-DeltaNeutral

Finished
Boxcar
SPX 2019-01-02 → 2022-10-28· 3.8 y Boxcar4 legs1 expirationMax positions 1
Finished 22-11-13 19:12Version MesoSim-2.1.7-0-g5ce4540
Cumulative Return help 294.41% SPX 54.71%
CAGR help 43.2% SPX 12.1%
Win/Loss rate 0.9381 wins / 87 losses
Trade Count 168Avg Days in Trade 6.71
Cumulative log return since the first session, ln(value ÷ first value): 0.69 is a doubling. Drawdown is the strategy's, from its peak on every NAV row; click SPX drawdown to compare. Click a legend entry to hide its series.

Risk Graph at first entry

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Statistics

Metric StrategySPX
Trades
Trade Count 1681
Win/Loss rate 81 / 87 = 0.93-
Adjustments 0-
PT Hits 0-
SL Hits 0-
Max DIT Reaches 155-
Settlements 0-
Avg Days in Trade 6.711395
Performance
Cumulative Return 294.41%54.71%
CAGR 43.2%12.1%
Max Drawdown
from Peak		 -36.06%-32.69%
Max Drawdown
on Initial Capital		 N/AN/A
Sharpe 1.060.68
Alpha 0.43-
Beta 0.03-
Kelly Criterion 7.6-16.32
Profit Factor 1.551.13
Probabilistic Sharpe 99.84%90.56%
Annual Volatility 40.61%19.74%
Omega 1.55-
Information ratio 0.04-
Avg Drawdown -3.02%-1.75%
Avg Drawdown Days 1813
Avg Up Month 4.933.37
Avg Down Month -3.7%-6.56%
R^2 00
Calmar 1.20.37
Treynor 9621.53-

Next steps

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